R help - Nov 2006 - Ridge for logistic regression

Dear all experts,

Does anyone know if there is a R function which can perform Ridge 
regression for logistic models?

Thank in advance.
Ying Yuan

On Fri, 3 Nov 2006, Zheng Yuan wrote:
> Dear all experts,
>
> Does anyone know if there is a R function which can perform Ridge
> regression for logistic models?
multinom and nnet in the package of that name.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

Prof Brian Ripley wrote:
> On Fri, 3 Nov 2006, Zheng Yuan wrote:
> 
>> Dear all experts,
>>
>> Does anyone know if there is a R function which can perform Ridge
>> regression for logistic models?
> 
> multinom and nnet in the package of that name.
> 
You can also use the lrm function in the Design package, which makes it 
relatively easy to specify penalization patterns by type of model term 
(e.g., to obtain more penalization for interaction or nonlinear terms).

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

Also check out the package "glmpath" which can incorporate both ridge
(L2)
and lasso (L1) type penalties.

Ravi.

----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Frank E Harrell Jr
Sent: Monday, November 06, 2006 7:41 AM
To: Prof Brian Ripley
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Ridge for logistic regression

Prof Brian Ripley wrote:
> On Fri, 3 Nov 2006, Zheng Yuan wrote:
> 
>> Dear all experts,
>>
>> Does anyone know if there is a R function which can perform Ridge
>> regression for logistic models?
> 
> multinom and nnet in the package of that name.
> 
You can also use the lrm function in the Design package, which makes it 
relatively easy to specify penalization patterns by type of model term 
(e.g., to obtain more penalization for interaction or nonlinear terms).

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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